This happens right after Peeta talks to Katniss, after he flips out when she leaves, the doctors give him sedatives and he falls asleep.

Peeta could only hear snatches of the doctors words as they poked and injected him. He didn't care anymore, there was nothing to feel and no reason to feel it. Her last visit had left him feeling cold and empty, and he didn't exactly know why, but it left him extremely sad as well.
"Mellark needs to wake up soon, this isn't helping him recover."
"He's been through a lot, he deserves to rest. He'll wake up when he's ready."
"President Coin wants him out there for that Capitol girl to film, the one with no hair."
"Yes, I know." A light sigh, "It's a very dangerous idea."
"No questioning her orders, Doctor." Someone cleared their throat and Peeta stopped listening. He looked around, the world behind his eyelids was warm and safe. He wasn't hurting here, and Katniss was with him. Her eyes shone, like the light grey gems they mined in District 1. Her smile made him smile as well, and when she reached her hand out to him, he gladly took it.
"Let's sit in the meadow. I'll sing for you." Her voice was just as soft and angelic as he remembered it being. He willingly went with her, walking into the beautiful open grassy area that he had often sat daydreaming of her in as a child. But this time, she was really here with him.
"Are you, are you, coming to the tree, where I told you to run, so we'd both be free..." Peeta closed his eyes, letting the sun's rays warm his cheeks and create a rosy glow shining through his eyelids. Her hand found its way into his hair, brushing through each lock gently, and he sighed.
"Strange things did happen here, no stranger would it be, if we met, at Midnight, in the hanging tree. Are you, are you..." The sinister words contrasted with the golden air that surrounded them, making them even more bone-chilling. Peeta shivered when the sun went behind a cloud, opening his eyes when it never came back out.
"Katniss?" He looked around. Katniss sat across from him, her finger pressed to her lips. He sat up, continuing to scan the area for what was troubling her. A mockingjay flew overhead, mimicking the tone of her voice, and making Peeta shiver. Suddenly, Katniss stood, grabbing his hand in hers to lead him. He followed, just like he always did. She ran through the thick, stiff grasses now covering their meadow, and through the hole in the fence and into the woods. After awhile, she spun around, pushing him against a nearby tree and staring deeply into his eyes. He met her gaze, curious to what was happening in her mind. She abruptly closed the space between them and pressed her lips to his, gentle but firm. When they parted, she had her bow in one hand and an arrow in the other. She closed her eyes, waiting, listening. Then she spun, notching the arrow immediately and firing it off. A scream rang from behind a bush, and she ignored it, shooting arrow after arrow into the darkness, screams, moans and cries filling the air. Peeta stared in shock, and when she should have run out of arrows in her quiver, he grabbed her arm, hissing, "What are you doing?" She dropped her weapon, taking his hands.
"I'm not doing it. I've already done it." He scrunched up his eyebrows, confused. She led him to the bushes, where he found the faces of Marvel, Cato, Clove, Glimmer, the girl from 4, the boy from 3, little Rue, Thresh, Foxface, Cashmere, Gloss, Brutus, Mags, Wiress and - with a gasp - he saw himself laying here. Bleeding, an arrow through his heart. He looked at her. She was wearing a flowing white dress, a blank expression on her tilted face. He touched her neck, shocked to feel rough rope before her skin.
"No." He gasped, a tear running down his cheek.
"I love you, Peeta, it wasn't a lie after all." She told him. Peeta became aware of a rapid beeping noise. he heard pieces of sentences, "He's crying." "His heartbeat is very fast. I don't know what he's dreaming about but it's not good." "He's shaking, I guess its a nightmare. He'll wake up." He ignored it, trying to free Katniss from her rope.
"Katniss, no! Don't leave me," He sobbed, "Stay with me!" She didn't respond.
Why wasn't she saying anything? She was supposed to say always. He says stay, she says always. Why wasn't she saying anything? He touched her face, those lifeless eyes staring down on him from where she swung.
"Katniss?" He murmured, holding her cold hands in his own to try to bring heat to them again. "Don't leave me here, don't." He choked out, seeing the harsh brown rope hanging down near him. He pulled her close, wrapping his arms around her waist and crying into her dress. "I told you to run," he murmured, "so we'd both be free." right before tightening his own necklace, side by side with her.
He knew he was dead. Why was everything the same? His closed eyes showed no sign of light. He opened them, shocked with the burn from his incessant tears.
"Mr. Mellark?" An unfamiliar voice asked.
"Where? Are my brothers here too?" He rasped out, swallowing to try to soften his aching throat.
"Too? I'm sorry, I meant Mr. Peeta Mellark, I was asking if you're alright." The faceless voice explained, and Peeta turned his head to see a woman in grey standing with some kind of device in her hand.
"Am... I alright." He repeated, realizing it was a question that the woman expected him to answer. "No. I am not alright. I just died." He spoke slowly, examining his hands to find that they looked just like they had before he had met with Katniss in the meadow.
"I'm sorry, could you tell me what is wrong?" The woman seemed confused, and she felt his forehead, ignoring when he flinched away from her touch.
"I died." He told her like she was a child trying to understand a difficult concept. "I hung myself. Necklace of rope, with Katniss. We died together." If she was confused before, now she was completely at a loss.
"Mr. Mellark, I don't follow."
"Please don't call me that." He sighed, rubbing at his temples.
"What do you prefer?"
"Peeta. That's my name, Peeta."
"You seemed very upset while you slept. What were you thinking?" She pressed.
"I wasn't sleeping. I was awake, with Katniss." He frowned. "Where did she go?"
"Miss Everdeen left hours ago, Peeta."
"No she didn't, she died right next to me just now. Where is she?"
"I believe you had a hallucination. Where you thought something happened, but it was just your mind."
"That wouldn't surprise me, my mind isn't very dependable lately." He frowned, glad that at least Katniss hadn't hung herself. "Then where do you say that she is?"
"Probably in her compartment, sleeping. It's pretty late." Peeta tried to sit up, gasping when a strap across his chest pulled him back down.
"You have to let me go! She can't sleep without me there, you need to release me." He said, clawing at the restraint. The woman didn't move, she didn't let him out. He looked at her. "Why aren't you letting me up? Don't you care that Katniss is probably screaming right now?" The woman frowned.
"I'm sorry, I can't let you go for security reasons. You've been pretty uncontrollable when you're around Miss Everdeen or after you've seen her. That's a result of the hijacking."
"Uncontrol- what do you mean? What did I do? I didn't hurt her, did I?"
"You don't remember? Well, it doesn't matter, she's fully recovered and healthy. You don't need to worry about her."
"Yes. I do, because I'm not with her, and I don't know any of you people and I don't know where she is. I need to see her. I need to be there for her, I promised."
"I'm sorry, Peeta. I can't let you go."

Ugh. Please follow and review, I have another chapter coming out soon. :') (it will be much happier I think)